Valuation of quanto options in a Markovian regime-switching market : a Markov-modulated Gaussian HJM model
Son-Nan Chen; Mi-Hsiu Chiang; Pao-Peng Hsu; Chang-Yi Li
| Year of publication: |
2014
|
|---|---|
| Authors: | Chen, Son-nan ; Chiang, Mi-hsiu ; Hsu, Pao-peng ; Li, Chang-yi |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 11.2014, 2, p. 161-172
|
| Subject: | HJM | Markov chain | Escher transform | Quanto options | Markov-Kette | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Zinsstruktur | Yield curve | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010441191